Optimizing Optimization: The Next Generation of Optimization Applications and Theory (Quantitative Finance)
264 Optimizing Optimization where B denotes the bivariate standard Gaussian distribution, φ is the associ- ated Pearson correlat ...
Heuristic portfolio optimization: Bayesian updating with the Johnson family of distributions 265 returns.^22 Figure 11.4 illustr ...
266 Optimizing Optimization rules for each of these choices and so, for illustrative purposes, we apply our ideas to a real-worl ...
Heuristic portfolio optimization: Bayesian updating with the Johnson family of distributions 267 Although instructive, the optim ...
268 Optimizing Optimization 11.7.2 The coefficient of disappointment aversion, A Up to this point, we have always set the coeffi ...
Heuristic portfolio optimization: Bayesian updating with the Johnson family of distributions 269 For the class of elliptical dis ...
270 Optimizing Optimization t 1 max[rtp,]/( D)028, 28 ∑ σ^ and the Calmar ratio, R p^ /| MDD p^ |.^25 To compare diversificatio ...
Heuristic portfolio optimization: Bayesian updating with the Johnson family of distributions 271 11.8 Conclusion The obvious app ...
272 Optimizing Optimization Appendix Parameters of the Johnson density Slifker and Shapiro (1980, pp. 243 – 246) report the foll ...
Heuristic portfolio optimization: Bayesian updating with the Johnson family of distributions 273 λ p p m p n 11 24 ⎛^21 ⎝ ...
274 Optimizing Optimization For I 1,..., N (^) Iterations. For S 1,..., N (^) Steps. Generate a neighbor w n N() wc ...
Heuristic portfolio optimization: Bayesian updating with the Johnson family of distributions 275 values. This procedure is repea ...
276 Optimizing Optimization Table 11.3 Choice of z : bias and RMSE Parameter N z 0.5 z 0.6 z 0.7 z 0.8 z 0.9 z z * 1 ...
Heuristic portfolio optimization: Bayesian updating with the Johnson family of distributions 277 Table 11.4 Performance of the m ...
278 Optimizing Optimization where U 0 is the value of expected utility under the true density, Uˆ is our esti- mate of expected ...
Heuristic portfolio optimization: Bayesian updating with the Johnson family of distributions 279 Brandt , M. W. , Goyal , A. , S ...
280 Optimizing Optimization Gul , F. ( 1991 ). A theory of disappointment aversion. Econometrica , 59 , 667 – 686. Hahn , G. J. ...
Heuristic portfolio optimization: Bayesian updating with the Johnson family of distributions 281 Moore , G. ( 1965 ). Cramming m ...
This page intentionally left blank ...
© 2009 Elsevier Limited. All rights reserved. Doi:10.1016/B978-0-12-374952-9.00012-9. 2010 More than you ever wanted to know abo ...
«
8
9
10
11
12
13
14
15
16
17
»
Free download pdf